According to the Black-Scholes option-pricing model, two options on the same stock but with different exercise prices should always have the same ________.
A) price
B) expected return
C) implied volatility
D) maximum loss

Question

Quizplus · Accepted Answer

According to the Black-Scholes model, options with the same underlying stock, expiration date, and volatility should have the same implied volatility. Therefore, option prices may differ based on their exercise prices, but their implied volatilities should be the same.

According to the Black-Scholes Option-Pricing Model, Two Options on the Same